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20062023
most citedA Milstein-type scheme without Levy area terms for SDEs driven by fractional Brownian motion

52 citations · 157 across the 19 of their papers we have counts for

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Showing 2019 · math.PRShow all

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math.PR2019★ 36 cited

The Euler-Maruyama Scheme for SDEs with Irregular Drift: Convergence Rates via Reduction to a Quadrature Problem

Andreas Neuenkirch, Michaela Szölgyenyi

We study the strong convergence order of the Euler-Maruyama scheme for scalar stochastic differential equations with additive noise and irregular drift. We provide a general framew…